Unpriced order auction and routing

ABSTRACT

An unpriced order auction and related market center and process are disclosed which allow posting market centers (e.g., exchanges) to schedule an auction that includes unpriced (Market) orders only. Such unpriced order auction executes at the midpoint of the NBBO, ensuring that the cross reflects the best prices in the entire marketplace, while discouraging the manipulation of the auction price on the posting market center. The disclosed auction also executes concurrently, but separately from the regular continuous matching process.

BACKGROUND

Various market centers (including exchanges, alternative tradingsystems, and crossing networks) offer investors the opportunity toparticipate in scheduled auctions (or call auctions) throughout thetrading day. These may be opening auctions, closing auctions, orintra-day auctions. Depending on the venue and the time of day, theauction may include limit orders, market orders, auction-only orders orany combination or limitation thereof. Regardless of the order typesthat participate in the different auction models, a characteristic thatscheduled auctions generally share is that all orders matched in theauction execute at a single price that maximizes the quantity that cancross. Some of these auction models, however, have the significantdrawback that regular trading is restricted or frozen until the auctionprocess is conducted and completed. Historically, some market centershave imposed a “freeze time” of as much as ten minutes, during whichtraders are restricted in some cases from canceling or changing theirorders if they are participating in the auctions. Additionally, duringthe actual execution of the auction, some market centers freeze theirregular continuous trading order books (as well as their auction orders)for five seconds or longer, effectively halting all trading while theauction executes. Such extended freeze periods put traders at risk, asthe market can move away from their prices.

One auction model includes only limit orders. When an auction consistssolely of limit-priced orders, the limit prices resident on the marketcenter typically determine the price or prices at which the auction mayexecute. As orders are received throughout the designated pre-auctionperiod, the market center typically updates and disseminates anindicative match price, i.e., the anticipated auction clearing price asof that moment in time. If more than one match price is possible, thenother external prices (e.g., the previous closing price) are often usedas a tie-breaker for pricing the auction.

A second auction model includes both limit orders and market orders.When an auction includes both limit orders and market orders, the limitprices on the market center once again typically determine the price orprices at which the auction may execute, while the market orders addliquidity to the cross. Although market orders are unpriced bydefinition, they can negatively impact the auction pricing if they causean imbalance in buy or sell interest. This model can be problematic,especially in thinly-traded issues, as outlier limit prices that aresignificantly away from the market price can sometimesdisproportionately skew the auction price away from what the real marketprice should be when there is an excess of market order volume on thecontra side. As a result, some market centers apply pre-established“price collars” to the indicative match price, whereby the auction iscanceled if the indicative match price is outside of specific thresholdparameters (e.g., more than $1.00 or 10% away from the consolidated lastsale price or the previous closing price). This ensures that the auctiononly executes at prices within the range of where the issue generallytrades.

A third auction model consists solely of market orders. When an auctionconsists solely of market orders, the market center excludes all limitorders from its pricing algorithm. Such auctions allow size discoverywhile minimizing the ability to manipulate the auction price. With theexclusion of limit orders, however, the market center must rely solelyon external pricing for the auction. Some marketplaces look to the bestbid and offer (BBO) on the primary listing market, i.e., the main marketon which a given issue is listed. The problem with this approach is thatthe primary listing market center's BBO may not be the best indicationof true marketplace prices, especially when liquidity is fragmentedacross exchanges, ECNs, and other market centers.

Accordingly, there is a need for a single-price market order auctionthat is protected from unusual pricing variations, even if participationin the auction is uneven, by deriving its pricing from the best pricesin the entire marketplace (e.g. the National Best Bid and Offer (NBBO)),not just from fragments of the marketplace, as, for example, just froman issues' primary listed market center. There is a further need thatsuch auction executes concurrently, but separately from the regularcontinuous limit order matching process. There is also a further needthat such auction process does not require a halt or freeze in eitherthe scheduled auction process or the continuous matching process.

SUMMARY

According to an aspect of the present invention, a method for crossingunpriced orders in a single-price auction in an issue on a postingmarket center includes providing a posting market center with anunpriced order book, specifying a time at which a scheduled auction isto execute, receiving unpriced buy and sell orders prior to thescheduled auction time and storing the received unpriced orders in theunpriced order book. It further includes, at the scheduled auction time,matching as many buy orders to sell orders as possible, retrieving anindicator external to the posting market center to establish the bestprices in the entire marketplace, deriving a single auction price fromthe retrieved external indicator and executing trades in the issuebetween the matched buy and sell orders at the derived auction price.According to another aspect of the present invention, the retrievedexternal indicator may be a national best bid and offer quote, and thesingle auction price may be derived by computing the midpoint of theretrieved national best bid and offer quote. Furthermore, the postingmarket center may include a continuous matching process and the ordersthat are not matched during the unpriced order auction process may bereleased to the continuous matching process for execution. Thecontinuous matching process may be set up to operate concurrently withthe unpriced order auction process.

DESCRIPTION OF THE DRAWINGS

These and other features, aspects and advantages of the presentinvention will become better understood with regard to the followingdescription, appended claims and accompanying drawings where:

FIG. 1 is a block diagram illustrating the trading environment in whichan embodiment of the present invention operates;

FIG. 2 is a block diagram illustrating an order matching engine in anembodiment of the present invention;

FIG. 3A and FIG. 3B show flow diagrams illustrating the stages of theauction process;

FIG. 4 is a flow diagram illustrating a process implemented by anembodiment of the present invention for determining whether an incomingmarket order should participate in the unpriced order auction, should bereleased to the continuous matching engine 52 or should be routeddirectly to a primary listing market center;

FIG. 5 is a flow diagram illustrating a process implemented by anembodiment of the present invention wherein the posting market centerdisseminates indicative information regarding the upcoming unpricedorder auction until the scheduled auction execution time;

FIG. 6 is a flow diagram illustrating a process implemented by anembodiment of the present invention for disseminating an indicativeunmatched volume (auction imbalance) and an indicative match volume;

FIG. 7 is a flow diagram illustrating a process implemented by anembodiment of the present invention for storing an incoming market orderin an auction book and determining whether there is an imbalance betweenbuy interest and sell interest;

FIG. 8 is a flow diagram illustrating a process implemented by anembodiment of the present invention to determine if there is both buyinterest and sell interest;

FIG. 9 is a flow diagram illustrating a process implemented by anembodiment of the present invention to execute the unpriced orderauction if there is both buy interest and sell interest and to releaseany unmatched orders for regular trading; and

FIG. 10 is a flow diagram illustrating a process implemented by anembodiment of the present invention to price the orders matched in theunpriced order auction based on the NBBO quote price.

DETAILED DESCRIPTION

Referring to FIG. 1, a trading environment in which an embodiment of thesystem and method of the present invention operates is depicted. Theexamples discussed herein primarily describe the use and application ofthe present invention in an equity security market center environment,but it should be understood that the present invention could be used inany type of financial instrument market center environment (e.g.,equities, futures, options, bonds, etc.). The trading environment ofthis embodiment includes a posting market center 20 which interacts witha number of other market centers 24 (i.e. away markets), traders atorder sending firms 26 and Market Makers 31. It should be understoodthat the trading environment of this embodiment supports but does notrequire Market Makers 31, a Market Maker Interface 32, or Market MakerQuotes 33. It should also be understood that the posting market center20 referred to herein refers to a computing system having sufficientprocessing and memory capabilities and does not refer to a specificphysical location. In fact, in certain embodiments, the computing systemmay be distributed over several physical locations. It should also beunderstood that any number of traders 26 or Market Makers 31 or awaymarket centers 24 can interact with the posting market center 20. Theposting market center 20 is the market center on which a specific traderat an order sending firm 26 posts a specific order, and on which aspecific Market Maker 31 posts a specific quote. The posting marketcenter 20 includes an order matching engine 21, which validates, matchesand processes all orders and quotes on the posting market center 20. Inthis embodiment, the code for the order matching engine 21 is stored inthe posting market center's memory.

The posting market center 20 may also include a quote and last saleinterface 23 that interacts with the away market centers 24 to capturequote and last sale information. This information is stored to a bestbids and offers and last sales data structure 25. This data structure 25is where the market best bid and offer information is stored. This datastructure 25 is also where the market trade reports (prints) are stored.The posting market center 20 may also include an order and tradeparameters data structure 27. The order and trade parameters datastructure 27 stores pre-defined trading parameters and rules that areused by the order matching engine 21 in matching orders and executingtrades. The posting market center 20 may also include an order andexecution interface 28 which interacts with the traders 26, the MarketMakers 31, the away market centers 24 and the order matching engine 21in the order execution process. The posting market center 20 may alsoinclude an order information data structure 29 where order informationis stored and a trade information data structure 30 where completedtrade information is stored. The posting market center 20 may alsoinclude a Market Maker interface 32 that interacts with Market Makers 31to capture Market Maker bids and offers in assigned issues. These bidsand offers are logically depicted in a Market Maker Quotes structure 33in this illustration. In actuality, the Market Maker bids and offers mayphysically reside in the away market center best bids and offers datastructure 25.

Throughout the discussion herein, it should be understood that thedetails regarding the operating environment, data structures, and othertechnological elements surrounding the posting market center 20 are byway of example and that the present invention may be implemented invarious differing forms. For example, the data structures referred toherein may be implemented using any appropriate structure, data storage,or retrieval methodology (e.g., local or remote data storage in databases, tables, internal arrays, etc.). Furthermore, a market center ofthe type described herein may support any type of suitable interface onany suitable computer system.

Order Matching Engine

In this embodiment of the invention, the order matching engine 21 on theposting market center 20 refers to the structure and processes thatimplement the validation, posting, and internal matching of orders onthe posting market center 20, as well as the routing of orders to awaymarket centers 24. Referring to FIG. 2, at the heart of the ordermatching engine 21 is the continuous matching engine 52, which, whenactivated, immediately executes incoming marketable orders against theposting market center's order book in a continuous matching process. Theorder matching engine 21 also includes an unpriced order auction engine50. The unpriced order auction engine 50 includes sub-routines 54-66,explained in detail below. During one or more designated market periods,the order matching engine 21 activates the unpriced order auction engine50 and initiates the unpriced order auction process, which queuesincoming market orders that are eligible to participate in an upcomingscheduled auction. The continuous matching process and the unpricedorder auction process execute concurrently, but are logically separateprocesses from a business standpoint, as illustrated in FIGS. 2 and 3.

The Continuous Matching Process

During the pre-auction period, the pre-auction order entry routine 68,using rules stored on the data structure 27, directs incominglimit-priced orders automatically to the continuous matching engine 52for immediate execution if possible. If an incoming limit order is notmarketable, then it is included in the posting market center's orderbook of active limit orders 29 a on data structure 29 and disseminatedto the public marketplace if the order is a disclosed order type.Depending on the business rules of the posting market center 20, limitorders may also be eligible to be routed to one or more away marketcenters 24 during the pre-auction period before the regular trading daycommences.

The Unpriced Order Auction Process

During the pre-auction period, the pre-auction order entry routine 68,using rules stored on the data structure 27, directs incoming marketorders automatically to the unpriced order auction engine 50 forpossible inclusion in an upcoming scheduled auction. In this embodiment,market orders eligible for the unpriced order auction are queued in aseparate auction order book 29 b in the data structure 29 on the postingmarket center 20. Although the details of the orders are not publiclydisplayed, a pending auction is advertised to the marketplace. As newmarket orders are received and existing market orders are canceled ormodified during the pre-auction period, the unpriced order auctionprocess continuously calculates and disseminates an updated AuctionImbalance parameter and Indicative Match Volume parameter. At thescheduled auction time, the unpriced order auction process executes theauction if orders exist on both sides of the auction order book and usesthe first eligible NBBO quote to price the match. The matched marketorders are executed, the trades are stored in data structure 30 andreported to the Tape, and the unmatched market orders, which aretemporarily stored in data structure 29 c, are released to thecontinuous matching engine 52 for execution against its order book 29 a.The unpriced order auction process terminates, and all subsequentincoming market orders are automatically passed to the continuousmatching engine 52.

Market Maker Quotes

The posting market center 20 may appoint Market Makers 31 in someissues. These Market Makers have a responsibility for maintainingtwo-sided quotes 33 in accordance with the business rules of the postingmarket center 20. Market Maker quotes 33 do not participate in theunpriced order auction. However, any market orders that do not match inthe unpriced order auction may subsequently trade against ordersgenerated on behalf of Market Maker quotes at the NBBO upon completionof the opening process. The unmatched market orders trade according tothe normal business rules for incoming market orders, e.g., the ordersmay execute according to Lead Market Maker guarantee rules.

The Auction Sequence

Referring to FIGS. 3A-3B, in a preferred embodiment, the unpriced orderauction follows this sequence:

Pre-Auction Period

Opening

Post-Auction Period

These periods are configurable by issue according to the business rulesof the posting market center 20, but generally correspond to the tradingsessions in effect across the marketplace. For example, the Pre-Auctionperiod may be configured to start at 08:00:00 am ET and end at 09:29:59am ET, whereas the Opening is typically configured to start at 09:30:00am ET. The Post-Auction period commences immediately upon completion ofthe Opening and may be configured to end at 15:59:59 pm ET by way ofexample.

Although this embodiment of the invention describes the unpriced orderauction in the context of an Opening Auction, it should be noted thatthis invention could also be scheduled at different times during thetrading day. In such an intra-day embodiment of the invention, onlymarket orders designated as “Auction Only” are passed to the unpricedorder auction engine 50, while regular, non-designated market orders arepassed to the continuous matching engine 52 as normal. During thedesignated pre-auction period (e.g., with a start time of 11:30:00 am ETand an end time of 12:29:59 pm ET), the unpriced order auction processadvertises the auction as described below and at the scheduled auctiontime (e.g., 12:30:00 pm ET) attempts to execute and price the unpricedorder auction as described in detail herein.

The Pre-Auction Period

During the designated Pre-Auction period, limit orders and market ordersare accepted for processing on the posting market center 20. If theprimary listing market center 24 for the issue is not yet open forregular trading, then the posting market center 20 is still in thePre-Opening period. Market Makers 31 who wish to trade on the postingmarket center 20 during the Pre-Opening period must do so using orders,as Market Maker quotes 33 do not trade during this period. However,Market Makers are expected to quote in their assigned issues inaccordance with the business rules of the posting market center 20, inpreparation for the Opening.

All incoming limit orders received during the Pre-Opening period areautomatically passed to the continuous matching engine 52 where theywill execute immediately if they are marketable or else are posted tothe posting market center's public order book 29 a if they are notmarketable. Limit orders may also be eligible to be routed to superioraway market centers 24 during the Pre-Opening period, as determined bythe business rules of the posting market center 20.

All incoming market orders received during the Pre-Opening period areautomatically passed to the unpriced order auction engine 50. If theunpriced order auction process determines that the issue is eligible forparticipation in the upcoming unpriced order auction, then it stores theorder in time priority in the auction order book 29 b for the issue.Throughout the Pre-Opening period, the unpriced order auction processcontinuously calculates and disseminates the Indicative Match Volume andthe Auction Imbalance Volume. Traders 26 are allowed to cancel theirmarket orders or change their size throughout the Pre-Opening period, asthere is no freeze between the Pre-Opening and the Opening.

The Opening

At the scheduled Opening time, the unpriced order auction processattempts to execute an auction for each issue in which it has marketorders. The completion of the unpriced order auction signals the Openingof the regular trading session on the posting market center 20. Ifmarket orders exist on both sides of the book, then the unpriced orderauction is allowed to proceed. After the unpriced order auction executesand the orders are matched, the unpriced order auction process, in thisembodiment, retrieves the first eligible NBBO quote published after theauction time, e.g., the first NBBO quote after 09:30:00 am ET. After theunpriced order auction process calculates and assigns an NBBO-midpointprice to the unpriced order auction, the executions are reported to theTape with the relevant identifier (e.g., opening trade, closing trade,or regular-way trade if intra-day). Any unmatched market orders arereleased to the continuous matching engine 52 (unless they aredesignated as Auction-Only Orders, in which case they are canceled).

The Post-Auction Period

After the auction, unmatched market orders execute according to thenormal business rules in effect for the processing of incoming marketorders received during the regular trading day. Instead of executing atthe midpoint of the NBBO, market buy orders execute at the NBO or betterand market sell orders execute at the NBB or better. The unmatchedmarket orders execute against the best contra trading interest in themarketplace, which may be a resident book order 29 a; an orderdynamically generated by the order matching engine 21 on behalf of aMarket Maker quote 33; or an away market quote 25 whose price issuperior to those on the posting market center 20.

Determining the Eligibility of Incoming Orders for the Unpriced OrderAuction

The business rules for the posting market center 20 determine whether anissue is eligible to trade in the unpriced order auction or not. In thisimplementation of the present invention, eligibility is indicated bymeans of an unpriced order auction Participation Flag, which can be setdifferently for specific issues or for broader categories of issues. Forexample, in a preferred but not limiting embodiment of the invention,the posting market center 20 could implement business rules wherebyorders in NASDAQ-listed stocks are eligible to participate in theunpriced order auction, whereas orders in NYSE-listed stocks andAMEX-listed stocks are not eligible to participate. Similarly, theposting market center 20 could implement business rules whereby ordersin options whose underlying stock is listed on NASDAQ are eligible toparticipate in the unpriced order auction, whereas orders in optionswhose underlying stock is listed on the NYSE or AMEX are not eligible toparticipate. In a preferred embodiment, orders not eligible toparticipate in the unpriced order auction are instead immediately routedto the primary listing market center before it opens for trading. Theprimary listing market center typically queues the routed orders for itsopening process. If the primary listing market center has already openedfor trading (e.g., if the unpriced order auction is run intra-dayinstead of at the opening), then orders not eligible for the auction aregenerally released to the continuous matching engine 52 for immediateexecution instead.

FIG. 4 illustrates an embodiment of the process implemented by the ordermatching engine 21 when a trader 26 sends a market order to the postingmarket center 20 during the designated pre-auction period. At step 100,a new market order is received by the Market Order Triage Routine 54,which first determines whether this issue is eligible to participate inthe scheduled auction by retrieving the unpriced order auctionParticipation Flag for this issue in step 102. In step 104, the processchecks whether the issue participates in the unpriced order auction.

If the issue does not participate in the unpriced order auction, thenthe process continues to step 110, where it determines the primarylisting market center for the issue, i.e., the main market center wherethe issue is listed (e.g., away market 24 a). (Although a given issuemay trade on multiple market centers including the posting market center20, it will only have one primary listing market center.) At step 112,the process checks if the primary listing market center is open fortrading yet. If the primary listing market center is not open fortrading yet, then the process continues to step 116, where it routes themarket order to the primary listing market center. The routed marketorder will participate in the opening process of the primary listingmarket center instead of the opening process of the posting marketcenter 20. The process is completed at step 118.

Returning to step 112, if the primary listing market center is alreadyopen for trading (e.g., if this is an intra-day auction and not anopening auction), then the process releases it to the continuousmatching engine 52 in step 114, which either cancels the orderimmediately if it is an Auction-Only order or else attempts to executethe order if it is a regular market order.

Returning to step 104, if the process determines that the issue iseligible to participate in the unpriced order auction, then it continuesto step 106, where it invokes the Continuous Unpriced Order Auctionroutine 56 and proceeds to step 120 (FIG. 5).

Referring to FIG. 5, the process checks for the onset of the scheduledunpriced order auction execution time in step 122. If it is not time toexecute the auction yet, then the process proceeds to step 124, where itinvokes the Disseminate Indicative Auction Volumes routine 58, whichincludes the incoming market order in the upcoming unpriced orderauction and continuously advertises the unpriced order auction up untilits scheduled time. At the designated auction time, the process proceedsto step 126, where it executes the Unpriced Order Auction routine 64 andthen terminates in step 128.

Referring to FIG. 6, the unpriced order auction advertisement processincludes invoking the Auction Imbalance routine 60 in step 132 and theIndicative Match Volume routine 62 in step 134. Whenever the processreceives a new market order, receives a request for canceling anexisting market order or receives a request to change the size of anexisting market order, it recomputes the Auction Imbalance Volume andthe Indicative Match Volume and disseminates the updated volumes to themarketplace in real-time. The Auction Imbalance Volume and theIndicative Match Volume are continuously displayed throughout the entirepre-auction period.

Calculating and Disseminating the Auction Imbalance and the IndicativeMatch Volume

The posting market center 20 maintains a separate auction order book 29b (logically equivalent to the regular limit order book 29 a) for eachissue in which it receives one or more eligible market orders during thedesignated pre-auction period. Throughout the designated pre-auctionperiod, incoming market orders are included in the auction order book 29b in time priority. In this embodiment, when the size of an existingmarket order is increased, the order loses time priority and is treatedas a new order. Similarly, in this embodiment, when the size of anexisting market order is decreased, the order may or may not lose timepriority depending on the business rules in effect on the posting marketcenter 20. With each new incoming order, or with each order cancellationor change of size, the unpriced order auction process recalculates theaggregate quantity of buys and sells that can presently match. Thisquantity is disseminated to the marketplace as the Indicative MatchVolume. If interest exists on one side only, then the Indicative MatchVolume is zero.

If there is an imbalance between the aggregate buy interest and theaggregate sell interest, then the unpriced order auction processcalculates and disseminates the unmatched difference to the marketplace.If buy interest exceeds sell interest, then the Auction Imbalance (i.e.,the unmatched quantity) is identified as a buy imbalance. If, on theother hand, the sell interest exceeds the buy interest, then the AuctionImbalance is identified as a sell imbalance. If the buy interest andsell interest are equal, then the Auction Imbalance is zero.

Examples of Advertising the Unpriced Order Auction to the Marketplace

Prior to the execution of the unpriced order auction, an issue can have

Match Volume only;

Imbalance Volume only; or

Match Volume and Imbalance Volume

Several examples illustrating how the Indicative Match Volume and theImbalance Volume are computed are shown in the cases below.Case 1: Matched Volume with Sell Imbalance

Total volume of Market Buy orders: 5100 shares

Total volume of Market Sell orders: 6000 shares

Indicative Match Volume: 5100 shares

Auction Imbalance: 900 shares, Sell Imbalance

Case 2: Matched Volume with Buy Imbalance

Total volume of Market Buy orders: 1050 contracts

Total volume of Market Sell orders: 720 contracts

Indicative Match Volume: 720 contracts

Auction Imbalance: 330 contracts, Buy Imbalance

Case 3: Sell Imbalance Only, No Matched Volume

Total volume of Market Buy orders: 0 shares

Total volume of Market Sell orders: 4500 shares

Indicative Match Volume: 0 shares

Auction Imbalance: 4500 shares, Sell Imbalance

Case 4: Matched Volume Only, No Imbalance

Total volume of Market Buy orders: 8400 shares

Total volume of Market Sell orders: 8400 shares

Indicative Match Volume: 8400 shares

Auction Imbalance: 0 shares

Computing and Disseminating the Auction Imbalance

Referring to FIG. 7, the process for storing the incoming market orderin the auction order book 29 b and determining whether there is anAuction Imbalance, i.e., an excess of aggregate buy interest oraggregate sell interest, is illustrated. In step 142, the process checkswhether the incoming market order is a buy order or a sell order. If theincoming order is a sell order, then the process continues to step 144,where it adds the quantity of the incoming market sell order to theaggregate value of the UnpricedSellVolume parameter. If, on the otherhand, the incoming order is a buy order, then the process continuesinstead to step 146, where it adds the quantity of the incoming marketbuy order to the aggregate value of the UnpricedBuyVolume parameter. TheUnpricedSellVolume represents the total quantity (i.e., number of sharesor contracts) of market sell orders participating in the upcomingunpriced order auction, while the UnpricedBuyVolume represents the totalquantity of market buy orders participating in the upcoming unpricedorder auction.

In step 148, the process stores the incoming market order in timepriority, with earlier orders having priority over later orders. Marketbuy orders are stored in time priority in the bid side of the auctionorder book 29 b, while market sell orders are stored in time priority inthe offer side of the auction order book 29 b. Each issue participatingin the unpriced order auction has its own auction order book.

Next, the process determines whether there is an excess of interest,i.e., an “ImbalanceVolume,” on either side of the auction order book bycomparing the aggregate buy volume to the aggregate sell volume. In step150, the process computes the value of the ImbalanceVolume bysubtracting the value of the UnpricedSellVolume from the value of theUnpricedBuyVolume. If at step 152 the computed ImbalanceVolume has apositive value (greater than zero), then the buy interest exceeds thesell interest, and the process continues to step 154, where it publishesthe computed ImbalanceVolume to the marketplace and denotes that theexcess interest is on the buy side.

Returning to step 152, if the process determines that the computedImbalance Volume is not greater than zero, then the buy interest doesnot exceed the sell interest. The process continues to step 156, whereit checks if the computed ImbalanceVolume is negative instead. If theImbalanceVolume is negative (less than zero), then the sell interestexceeds the buy interest, and the process continues to step 158, whereit publishes the computed ImbalanceVolume to the marketplace and denotesthat the excess interest is on the sell side.

Returning to step 156, if the computed ImbalanceVolume is not negative,then the process continues to step 160. As the process has nowdetermined that the ImbalanceVolume is neither greater than zero norless than zero, then no imbalance exists. This means the aggregatequantity of buy interest is equal to the aggregate quantity of sellinterest, and all shares (or contracts) would be matched if the unpricedorder auction were to execute with the presently queued quantities. Theprocess publishes the computed ImbalanceVolume as zero to themarketplace, and at step 162, it returns to the step where the AuctionImbalance Process was invoked, in step 132 of FIG. 6.

Computing and Disseminating the Indicative Match Volume

Referring to FIG. 6, the process continues to step 134, where it invokesthe Indicative Match Volume routine 62 for computing and disseminatingthe Indicative Match Volume, i.e., the quantity of shares (or contracts)that can presently match in the upcoming unpriced order auction.Referring to FIG. 8, the process determines if orders are present onboth sides of the auction order book 29 b, and if a match is possiblebecause interest exists on both sides, the process advertises thecomputed “MatchVolume” for the upcoming auction to the marketplace. Asmarket orders have no prices, the Indicative Match Volume is simply thevolume of buy interest that equals the sell interest, which is thelesser of the aggregate buy quantity and the aggregate sell quantity.

In step 172, the process checks whether the value of theUnpricedBuyVolume is greater than zero, i.e., if any market buy ordersare present in the auction order book. If no buy orders exist, then theUnpricedBuyVolume is zero, and the process continues to step 176, whereit sets the computed MatchVolume to zero because no match is possiblewithout buy interest. The process continues to step 184, where itpublishes the MatchVolume of zero to the marketplace. The processcompletes at step 186 as indicated.

Returning to step 172, if the UnpricedBuyVolume is greater than zero,then market buy orders exist, so the process continues to step 174 todetermine if market sell orders also exist. If no sell orders exist,then the UnpricedSellVolume is zero, and the process continues to step176, where it sets the computed MatchVolume to zero because no match ispossible without sell interest. The process continues to step 184, whereit publishes the MatchVolume of zero to the marketplace. The processcompletes at step 186 as indicated.

Returning to step 174, if the UnpricedSellVolume is also greater thanzero, then interest exists on both sides of the auction order book 29 b,and a match is possible to the degree to which the buys and sellsoverlap. The Indicative Match Volume is the lesser of the aggregate buyinterest and the aggregate sell interest. In step 178, the processcompares the value of the UnpricedBuyVolume to the value of theUnpricedSellVolume. If the UnpricedBuyVolume is greater than theUnpricedSellVolume, then the process sets the Indicative Match Volume(“MatchVolume”) equal to the value of the UnpricedSellVolume in step180. If, on the other hand, the UnpricedBuyVolume is not greater thanthe UnpricedSellVolume, then the process sets the MatchVolume equal tothe value of the UnpricedBuyVolume in step 182. In step 184, the processpublishes the computed MatchVolume to the marketplace, and the processcompletes at step 186.

Executing the Unpriced Order Auction at its Scheduled Time

At a configurable, pre-determined scheduled auction time parameterstored in data structure 27, the unpriced order auction process attemptsto execute an unpriced order auction for each issue in which it hasmarket orders queued in the auction order book. If interest exists onone side of the book only, i.e., buys but not sells (or sells but notbuys), then no match is possible and the auction is canceled. Theunmatched market orders are immediately released to the continuousmatching engine 52 for execution in the regular trading session.

If interest exists on both sides of the book, then orders can match inthe auction. The unpriced order auction process determines the quantitythat can match, i.e., the lesser of the aggregate buy volume and theaggregate sell volume. Buy orders are paired with sell orders up to thecomputed MatchVolume, in accordance with time priority (i.e., earlierorders are paired before later orders). After the buy orders and sellorders have been paired, the unpriced order auction, in this embodiment,retrieves the NBBO quote for the issue. If the auction is an openingauction, then the first NBBO quote published after 09:30 am T isretrieved. In a different implementation of this invention, if theauction is an intra-day auction, then the first NBBO quote after thedesignated auction time (e.g., 12:30 pm ET) is retrieved instead.

When the NBBO quote is retrieved, the unpriced order auction processevaluates whether the disseminated NBBO is eligible to price theauction. If the NBBO is neither locked nor crossed (i.e., the NBB is nothigher than the NBO, nor is it equal to the NBO), then the unpricedorder auction process calculates the midpoint of the NBBO quote. If thespread between the NBB and the NBO is one price increment, then theauction is priced at the midpoint of the increment, even thoughcustomers are not allowed to send limit orders at those increments. Forexample, if the NBBO is $20.00 to $20.01 for an issue trading inpennies, then the auction is priced at $20.005 even if subpenny tradingis not allowed.

If the NBBO is crossed, then the unpriced order auction process discardsthe crossed NBBO quote and waits for the next uncrossed NBBO quote to bedisseminated. If the NBBO is locked, the business rules of the postingmarket center 20 must be consulted. In one implementation of theinvention, the auction is priced at the NBBO even if the market islocked. For example, if the NBBO is $20.00 to $20.00, then the auctionis priced at $20.00. In a different implementation of the invention, theunpriced order auction process discards the locked NBBO and waits forthe next uncrossed, unlocked NBBO. The business rules may differdepending on whether the posting market center 20 is a party to the lockor not.

If no eligible NBBO quote is received within a reasonable period of timeafter 09:30 am ET as determined by the business rules of the postingmarket center 20, then the unpriced order auction is typically canceledmanually by the Trading Desk, and regular trading commences when theissue (or the underlying stock, in the case of equity options) opens onthe primary listing market center.

FIG. 9 illustrates how the process determines whether it should executeor cancel the unpriced order auction at its scheduled auction time, andthe method whereby the queued market orders are matched in the unpricedorder auction and/or released from the process. If an issue has intereston both sides of the auction order book, then the process executes theunpriced order auction and releases any unmatched market orders. If anissue has interest on one side only of the auction order book, then theprocess cancels the unpriced order auction and releases all the queuedmarket orders.

In step 192, the process determines if market buy orders exist bychecking if the value of the UnpricedBuyVolume is greater than zero. Ifthe UnpricedBuyVolume is not greater than zero, then no buy interestexists for this issue, and the process proceeds to step 214, where itreleases the unmatched market orders (Sell Orders, in this case) to thecontinuous matching engine 52 and cancels the unpriced order auction.(If a market sell order has been designated as Auction-Only, then it isautomatically canceled as well.) The process then stops at step 216 asindicated, and the normal trading session commences when this issueopens.

Returning to step 192, if the UnpricedBuyVolume is greater than zero,then buy interest does exist for this issue, and the process continuesto step 194, where it determines if market sell orders also exist. Ifthe UnpricedSellVolume is not greater than zero, then no sell interestexists for this issue, and the process proceeds to step 214, where itreleases the unmatched market orders (buy orders, in this case) to thecontinuous matching engine 52 and cancels the unpriced order auction.(If a market buy order has been designated as Auction-Only, then it isautomatically canceled as well.) The process then stops at step 216 asindicated, and the normal trading session commences when this issueopens.

Returning to step 194, if the UnpricedSellVolume is greater than zero,then sell interest does exist for this issue, and the process canexecute the unpriced order auction. To determine the volume that canmatch in the unpriced order auction, the process sets the matchablequantity (MatchVolume) to the lesser of the aggregate market buy ordervolume and the aggregate market sell order volume. In step 196, theprocess compares the UnpricedBuyVolume to the UnpricedSellVolume. If theUnpricedBuyVolume is greater than the UnpricedSellVolume, then theprocess continues to step 200, where it sets the value of theMatchVolume equal to the value of the UnpricedSellVolume. Returning tostep 196, if, on the other hand, the UnpricedBuyVolume is not greaterthan the UnpricedSellVolume, then the process continues to step 198,where it sets the value of the MatchVolume equal to the value of theUnpricedBuyVolume.

Having determined the MatchVolume, the process continues to step 202,where it matches the market buy orders and the market sell orders up tothe computed MatchVolume. The orders are paired according to timepriority, with the oldest orders matching prior to the newest orders.Depending on the value of the MatchVolume, it is possible that the lastparticipating buy order or sell order is only partially matched in theunpriced order auction. After pairing the eligible market buy orders andmarket sell orders, the process momentarily adds them to a“MatchedOrders” data structure 29 d in step 204, where the trades awaitpricing.

Pricing the Unpriced Order Auction at the Midpoint of the NBBO Quote

After the process has paired the eligible market buy orders and marketsell orders, in this embodiment, it must determine the NBBO midpointprice at which the orders will execute, as indicated at step 206. FIG.10 illustrates the process for computing the price of the auction.Referring to FIG. 10, the process retrieves the first NBBO quotepublished after the scheduled auction time and evaluates its eligibilityin pricing the unpriced order auction. If the process determines thecurrently-evaluated NBBO quote to be ineligible, then it discards it andwaits for the next NBBO quote, until it finally determines that the NBBOquote is indeed eligible to price the unpriced order auction.

In step 222, the process retrieves the first published NBBO quote afterthe scheduled auction time, e.g., after 09:30 am ET if this is anopening auction. In step 224, the process checks whether the NBBO iscrossed, i.e., if the NBB is higher than the NBO. If the NBBO iscrossed, then the process continues to step 226, where it waits for thenext published NBBO quote.

Returning to step 224, if the NBBO is not crossed, then the processcontinues to step 228, where it checks whether the NBBO is locked, i.e.,if the NBB is equal to the NBO. In the preferred embodiment of thisinvention, a locked NBBO is permitted to price the unpriced orderauction according to the business rules of the posting market center 20.However, in a different embodiment of this invention, a locked NBBO maynot be permitted to price the unpriced order auction, in which case theprocess must wait for the next uncrossed, unlocked NBBO. If the NBBO islocked, then the process proceeds to step 230, where it checks whether alocked NBBO can price the unpriced order auction according to thebusiness rules of the posting market center 20. If a locked NBBO cannotprice the unpriced order auction, then the process discards thecurrently evaluated NBBO and continues to step 226 to wait for the nextNBBO quote. If, however, a locked NBBO can price the unpriced orderauction, then the process continues to step 234, where it sets the priceof the unpriced order auction (the “AuctionPrice”) equal to the lockedNBBO price and proceeds to step 238, where the process returns to whereit was invoked in FIG. 9 (step 206).

Returning to step 228, if, however, the NBBO is not locked, then theprocess calculates the midpoint of the NBBO quote in step 232. Aspreviously described, if the difference between the NBB and the NBO isone price increment, then the midpoint of the price increment iscomputed, even though such increment is not valid in the continuousmatching engine 52. Having computed the midpoint of the uncrossed,unlocked NBBO quote, the process continues to step 236, where it setsthe AuctionPrice equal to the computed midpoint price and proceeds tostep 238, where the process returns to where it was invoked in FIG. 9(step 206).

Completing the Unpriced Order Auction after the Midpoint Price has beenDetermined

After the process has determined the match price for the unpriced orderauction, it continues to step 208, where it assigns the AuctionPrice asthe trade price for all the market orders stored on the MatchedOrdersdata structure 29 d. In step 210, the process executes the trades anddisseminates the MatchVolume and the AuctionPrice to the marketplace.

In step 212, the process checks whether there are any remaining marketbuy orders or market sell orders that were not matched in the unpricedorder auction. If there are no unmatched market orders, then the processstops at step 216. However, if any unmatched market orders exist, thenthe process continues to step 214, where it releases the unmatchedmarket orders to the continuous matching engine 52 (unless an order hasbeen designated as Auction-Only, in which case it is canceled instead.)The process then stops at step 216 as indicated. It should be understoodthat in another embodiment the unmatched market orders could be releasedto the continuous matching engine 52 immediately after the matching ofthe market orders in step 202, prior to the pricing and execution of thematched orders.

At step 216, the unpriced order auction process is complete, and allsubsequent incoming market orders are passed to the continuous matchingengine 52.

Examples of how market orders participate in the unpriced order auctionare provided below. Most of the examples use equity securities as theirbasis, although several examples use equity options as their basis. Theinvention is equally applicable to other financial instruments as well.It should be understood that the order prices and market pricesdiscussed in these examples are by way of example only to illustrate howthe process of an embodiment of the invention handles unpriced orderauctions when executed at the Opening.

Example 1: Market Buy Order is Received for an Issue that does notParticipate in the Unpriced Order Auction

During the designated Pre-Auction period (which in this example occursbefore the national markets open for the regular trading session at09:30 am ET), the posting market center 20 receives the following orderin step 100:

-   -   →Order A: Buy 200 @ Market        Referring to FIG. 4, when the process receives an incoming        market order, it must determine whether the issue is eligible to        participate in the upcoming unpriced order auction or not. In        step 102, the process retrieves the unpriced order auction        Participation Flag for this issue and checks whether the issue        is eligible to participate in the unpriced order auction in step        104. In this example, the unpriced order auction Participation        Flag is set to “No,” indicating that the issue is not eligible        to participate in the unpriced order auction.

Upon determining that the issue is not eligible for the unpriced orderauction, the process proceeds to step 110, where it determines theprimary listing market center for the issue. In this example, theprimary listing market center for this issue is Away Market Center A, 24a. In step 112, the process determines that Away Market Center A is notopen for trading yet, so it continues to step 116, where it routesincoming Order A to Away Market Center A. Order A may participate in theopening of Away Market Center A 24 a, but will not participate in theopening of the posting market center 20. The process stops as indicatedat step 118.

Example 2: Market Buy Order is Received for an Issue that Participatesin the Unpriced Order Auction

During the designated Pre-Auction period, the posting market center 20receives the following order in step 100:

-   -   →Order B: Buy 600 @ Market        As in the prior example, the process must determine whether the        issue is eligible to participate in the upcoming unpriced order        auction or not. In step 102, the process retrieves the unpriced        order auction Participation Flag for this issue and checks        whether the issue is eligible to participate in the unpriced        order auction in step 104. In this example, the unpriced order        auction Participation Flag is set to “Yes,” indicating that the        issue is indeed eligible to participate.

Upon determining that the issue is eligible for the unpriced orderauction, the process continues to step 106, where it invokes theContinuous Unpriced Order Auction routine 56. As illustrated in FIG. 5,the invoked process checks for the onset of the scheduled auction timein step 122. As the scheduled auction time is still pending in thisexample, the process continues to step 124, where it invokes theroutines that advertise the upcoming unpriced order auction to themarketplace. As illustrated in FIG. 6, the two invoked routines thatadvertise the upcoming auction are the Auction Imbalance routine 60invoked at step 132 and the Indicative Match Volume routine 62 invokedat step 134.

Incoming Market Buy Order B is presented to the Auction Imbalanceroutine 60, as illustrated in FIG. 7. In step 142, the processdetermines that incoming Market Order B is a buy order, and thereforeadds the order quantity (600 shares) to the aggregate buy interest,whose quantity is reflected in the UnpricedBuyVolume. As Order B is thefirst market order received for this issue, the UnpricedBuyVolume ispresently set to zero. At step 146, the process adds the quantity ofincoming Order B (600) to the UnpricedBuyVolume (zero) to derive theupdated UnpricedBuyVolume=600 shares.

In step 148, the process inserts Order B in the auction order book, intime priority. The auction order book looks like this:

Bids Offers Order B: Buy 600 @ Market

In step 150, the process computes the Auction Imbalance, which is theexcess of buy interest over sell interest, or vice versa. The processcomputes the ImbalanceVolume by subtracting the UnpricedSellVolume fromthe UnpricedBuyVolume. As no Sell Orders have been received yet for thisissue, the UnpricedSellVolume is presently set to zero. The processtherefore computes the ImbalanceVolume as +600 shares (600 less zero).

In step 152, the process checks whether the computed ImbalanceVolume(+600) is greater than zero. As the ImbalanceVolume is greater thanzero, the process continues to step 154, where it publishes theImbalanceVolume and denotes it as an excess of interest on the buy side.For example, in this implementation of the invention, the processpublishes “Imbalance Volume: +600 Buy Imbalance” to the marketplace. Instep 162, the process then returns, and continues to step 134 (FIG. 6),where the Indicative Match Volume routine 62 is invoked next. Asillustrated in FIG. 8, the process for the invoked Indicative MatchVolume routine 62 determines the volume that can match in the upcomingunpriced order auction and advertises the matched quantity, if any, tothe marketplace.

In step 172, the process checks whether the UnpricedBuyVolume is greaterthan zero. In this example, the UnpricedBuyVolume=600, so the processcontinues to step 174, where it checks whether the UnpricedSellVolume isalso greater than zero. As no Sell Orders have been received yet and theUnpricedSellVolume=zero, no match is possible. The process continues tostep 176, where it sets the MatchVolume=zero. In step 184, the processpublishes the MatchVolume. The advertised auction looks like this:

Symbol Auction Imbalance Indicative Match Volume Match Price XYZZ +600Buy 0

Example 3: Market Buy Order Increases the Auction Imbalance

During the designated Pre-Auction period, the posting market center 20receives the following order in step 100:

-   -   →Order C: Buy 400 @ Market

In this example, Order C is processed much like Order B, as it is amarket order in the same issue. The process determines the issue iseligible to participate in the unpriced order auction, determines thatthe scheduled time has not commenced yet (steps 102, 104, 106, 120, 122,and 124), and proceeds to step 140, where the incoming market buy orderis presented to the Auction Imbalance routine 60.

In step 142, the process determines that incoming Market Order C is abuy order and continues to step 146. At step 146, the process adds thequantity of incoming Order C (400) to the UnpricedBuyVolume (600) toderive the updated UnpricedBuyVolume=1000 shares.

In step 148, the process inserts Order C in the auction order book, intime priority behind Order B. The auction order book looks like this:

Bids Offers Order B: Buy 600 @ Market Order C: Buy 400 @ Market ←

In step 150, the process computes the Auction Imbalance by subtractingthe UnpricedSellVolume from the UnpricedBuyVolume. As no Sell Ordershave been received yet for this issue, the UnpricedSellVolume ispresently set to zero. The process therefore computes theImbalanceVolume as +1000 shares (1000 less zero).

In step 152, the process checks whether the computed ImbalanceVolume(+1000) is greater than zero. As the ImbalanceVolume is greater thanzero, the process continues to step 154, where it publishes theImbalanceVolume and denotes it as an excess of interest on the buy side.For example, in this implementation of the invention, the processpublishes “Imbalance Volume: +1000 Buy Imbalance” to the marketplace. Instep 162, the process then returns, and continues to step 134 (FIG. 6),where the Indicative Match Volume routine 62 is invoked next.

Referring to FIG. 8, in step 172, the invoked process checks whether theUnpricedBuyVolume is greater than zero. In this example, theUnpricedBuyVolume=1000, so the process continues to step 174, where itchecks whether the UnpricedSellVolume is also greater than zero. As nosell orders have been received yet and the UnpricedSellVolume=zero, nomatch is possible. The process continues to step 176, where it sets theMatchVolume=zero. In step 184, the process publishes the MatchVolume.The advertised auction look like this:

Symbol Auction Imbalance Indicative Match Volume Match Price XYZZ +1000Buy 0

Example 4: Market Sell Order Results in a Matched Volume and Creates aSell Imbalance

During the designated Pre-Auction period, the posting market center 20receives the following order in step 100:

-   -   →Order D: Sell 1500 @ Market

In this example, Order D is processed initially like Orders B and C, asit is a market order in the same issue. The process determines the issueis eligible to participate in the unpriced order auction, determinesthat the scheduled time has not commenced yet (steps 102, 104, 106, 120,122, and 124), and proceeds to step 140, where the incoming market sellorder is presented to the Auction Imbalance routine 60.

In step 142, the process determines that incoming Market Order D is asell order, and therefore adds the order quantity (1500 shares) to theaggregate sell interest, whose quantity is reflected in theUnpricedSellVolume. As Order D is the first market sell order, theUnpricedSellVolume is presently set to zero. At step 144, the processadds the quantity of incoming Order D (1500) to the UnpricedSellVolume(zero) to derive the updated UnpricedSellVolume=1500 shares.

In step 148, the process inserts Order D in the auction order book, intime priority. The auction order book looks like this:

Bids Offers Order B: Buy 600 @ Market Order D: Sell 1500 @ Market ←Order C: Buy 400 @ Market

In step 150, the process computes the Auction Imbalance by subtractingthe UnpricedSellVolume (1500) from the UnpricedBuyVolume (1000) toderive an updated ImbalanceVolume=−500.

In step 152, the process then checks whether the computedImbalanceVolume (−500) is greater than zero. As the ImbalanceVolume isnot greater than zero (it is actually less than zero), the processcontinues to step 156, where it checks if it is less than zero. As theImbalanceVolume is less than zero, the process continues to step 158,where it publishes the ImbalanceVolume and denotes it as an excess ofinterest on the sell side. In step 162, the process then returns, andcontinues to step 134 (FIG. 6), where the Indicative Match Volumeroutine 62 is invoked next.

In step 172, the invoked process checks whether the UnpricedBuyVolume isgreater than zero. In this example, the UnpricedBuyVolume=1000, so theprocess continues to step 174, where it checks whether theUnpricedSellVolume is also greater than zero. As theUnpricedSellVolume=1500, orders can match in the upcoming unpriced orderauction. To determine the quantity that can match in the unpriced orderauction, the process continues to step 178, where it checks whether theUnpricedBuyVolume (1000) is greater than the UnpricedSellVolume (1500).As the UnpricedBuyVolume is lower, the process continues to step 182,where it sets the MatchVolume=1000 shares, the value of theUnpricedBuyVolume. In step 184, the process publishes the MatchVolume tothe marketplace. The advertised auction looks like this:

Auction Indicative Match Symbol Imbalance Match Volume Price XYZZ −500Sell 1000

Example 5: Market Buy Order Increases the Matched Volume and Creates aBuy Imbalance

During the designated Pre-Auction period, the posting market center 20receives the following order in step 100:

-   -   →Order E: Buy 2000 @ Market

In this example, Order E is processed initially like Orders B, C, and D,as it is a market order in the same issue. The process determines theissue is eligible to participate in the unpriced order auction,determines that the scheduled time has not commenced yet (steps 102,104, 106, 120, 122, and 124), and proceeds to step 140, where theincoming market buy order is presented to the Auction Imbalance routine60.

In step 142, the process determines that incoming Market Order E is aBuy Order. In step 146, the process adds the quantity of incoming OrderE (2000) to the UnpricedBuyVolume (1000) to derive the updatedUnpricedBuyVolume=3000 shares.

In step 148, the process inserts Order E in the auction order book, intime priority behind Orders B and C. The auction order book looks likethis:

Bids Offers Order B: Buy  600 @ Market Order D: Sell 1500 @ Market OrderC: Buy  400 @ Market Order E: Buy 2000 @ Market ←

In step 150, the process computes the Auction Imbalance by subtractingthe UnpricedSellVolume (1500) from the UnpricedBuyVolume (3000) toderive an updated ImbalanceVolume of +1500. In step 152, the processchecks whether the computed ImbalanceVolume (+1500) is greater thanzero. As the ImbalanceVolume is greater than zero, the process continuesto step 154, where it publishes the ImbalanceVolume and denotes it as anexcess of interest on the buy side. In step 162, the process thenreturns, and continues to step 134 (FIG. 6), where the Indicative MatchVolume routine 62 is invoked next.

In step 172, the invoked process checks whether the UnpricedBuyVolume isgreater than zero. In this example, the UnpricedBuyVolume=3000, so theprocess continues to step 174, where it checks whether theUnpricedSellVolume is also greater than zero. As theUnpricedSellVolume=1500, orders can match in the upcoming unpriced orderauction. To determine the quantity that can match in the unpriced orderauction, the process continues to step 178, where it checks whether theUnpricedBuyVolume (3000) is greater than the UnpricedSellVolume (1500).As the UnpricedBuyVolume is greater, the process continues to step 180,where it sets the MatchVolume=1500 shares, the value of theUnpricedSellVolume. In step 184, the process publishes the MatchVolumeto the marketplace. The advertised auction looks like this:

Auction Indicative Match Symbol Imbalance Match Volume Price XYZZ +1500Buy 1500

Example 6: Existing Market Sell Order Size is Decreased, Reducing theMatched Volume while Increasing the Buy Imbalance Volume

During the designated Pre-Auction period, the posting market center 20receives the following request to change the size of Market Sell OrderD:

-   -   →Cancel/Replace Order D: Replace Sell 1500 @ Market with Sell        900 @ Market

In this example, a Cancel/Replace request is processed much like a neworder in that the new order replaces an existing order. The processdetermines the issue is eligible to participate in the unpriced orderauction, determines that the scheduled time has not commenced yet (steps102, 104, 106, 120, 122, and 124), and proceeds to step 140. In step142, the process determines that cancel/replaced Order D is a sellorder, and therefore cancels the existing order quantity (1500 shares)and adds the revised order quantity (900 shares) to the aggregate sellinterest, whose quantity is reflected in the UnpricedSellVolume. In step144, the process computes the updated UnpricedSellVolume=900 shares.

In step 148, the process cancel/replaces Order D in the auction orderbook. The auction order book looks like this:

Bids Offers Order B: Buy  600 @ Market Order D: Sell 900 @ Market ←Order C: Buy  400 @ Market Order E: Buy 2000 @ Market

In step 150, the process computes the Auction Imbalance by subtractingthe UnpricedSellVolume (900) from the UnpricedBuyVolume (3000) to derivean updated ImbalanceVolume of +2100. In step 152, the process checkswhether the computed ImbalanceVolume (+2100) is greater than zero. Asthe ImbalanceVolume is greater than zero, the process continues to step154, where it publishes the ImbalanceVolume and denotes it as an excessof interest on the buy side. In step 162, the process then returns, andcontinues to step 134 (FIG. 6), where the Indicative Match Volumeroutine 62 is invoked next.

In step 172, the invoked process checks whether the UnpricedBuyVolume isgreater than zero. In this example, the UnpricedBuyVolume=3000, so theprocess continues to step 174, where it checks whether theUnpricedSellVolume is also greater than zero. As theUnpricedSellVolume=900, orders can match in the upcoming unpriced orderauction. To determine the quantity that can match in the unpriced orderauction, the process continues to step 178, where it checks whether theUnpricedBuyVolume (3000) is greater than the UnpricedSellVolume (900).As the UnpricedBuyVolume is greater, the process continues to step 180,where it sets the MatchVolume=900 shares, the UnpricedSellVolume. Instep 184, the process publishes the MatchVolume to the marketplace. Theadvertised auction looks like this:

Auction Indicative Match Symbol Imbalance Match Volume Price XYZZ +2100Buy 900

Example 7: Scheduled Auction Time Commences

Referring to FIG. 5, in step 122 the Continuous Unpriced Order Auctionroutine 56 determines that it is now time to execute the scheduledauction for this issue, and proceeds to step 126, where it initiates theprocedures to execute the unpriced order auction.

Referring to FIG. 9, in step 192, the process checks if theUnpricedBuyVolume (3000) is greater than zero. As it is, the processcontinues to step 194, where it checks if the UnpricedSellVolume (900)is also greater than zero. As it is, in step 196, the process checkswhether the UnpricedBuyVolume exceeds the UnpricedSellVolume. As theUnpricedBuyVolume (3000) is greater than the UnpricedSellVolume (900),in step 200 the process sets the computed MatchVolume=900, theUnpricedSellVolume, as the lesser of the two quantities determines thesize of the match.

In step 202, the process pairs the market buy orders with the marketsell order in time priority. The auction order book presently looks likethis:

Bids Offers Order B: Buy  600 @ Market. Order D: Sell 900 @ Market OrderC: Buy  400 @ Market Order D: Buy 2000 @ Market

In this example, the orders are paired as follows:

600 shares of Buy Order B match 600 shares of Sell Order D, completelydepleting Order B.300 shares of Buy Order C match 300 shares of Sell Order D, completelydepleting Order D.Partially-matched Order C still has 100 shares remaining. Order E isunmatched. The auction order book now looks like this:

Bids Offers Order C: Buy  100 @ Market Order E: Buy 2000 @ MarketThe process adds the unmatched orders to the UnmatchedOrders datastructure 29 c.

In step 204, the process adds the paired orders to the MatchedOrdersdata structure 29 d:

Order B: 600 shares pending match with Order D

Order D: 600 shares pending match with Order B

Order C: 300 shares pending match with Order D

Order D: 300 shares pending match with Order C

In step 206, the process invokes the NBBO Midpoint Pricing routine 66,as indicated.

Example 8: Crossed NBBO is Ineligible to Price the Auction

Referring to FIG. 10, in step 222, the process retrieves the firstpublished NBBO quote after the scheduled auction time, i.e., after 09:30am ET in this example. The following NBBO quote is retrieved:

-   -   →Market Center A: Bid 500 @ 20.04 Market Center B: Offer 1100 @        20.03        In step 224, the process checks whether the NBBO quote is        crossed. As the NBBO is indeed crossed, i.e., the NBB ($20.04)        is higher than the NBO ($20.03), the process continues to step        226, where it waits for the next published NBBO quote. The        reason for this is because a crossed NBBO is not allowed to        price the unpriced order auction according to the business rules        of the posting market center 20.

Example 9: Locked NBBO is Ineligible to Price the Auction

In this example, the following NBBO quote is published next:

-   -   →Market Center A: Bid 500 @ 20.04 Market Center B: Offer 600 @        20.04        The process returns to step 224, where it checks whether the        NBBO quote is crossed. As the quote is not crossed, it continues        to step 228, where it checks whether the NBBO is locked. As the        NBBO is indeed locked, i.e., the NBB ($20.04) is equal to the        NBO ($20.04), the process proceeds to step 230, where it checks        whether the business rules of the posting market center 20        permit a locked NBBO to price the unpriced order auction or not.        Although in one embodiment of the invention, a locked NBBO is        allowed to price the unpriced order auction (in which case, the        process would continue to step 234, where it would set the        AuctionPrice=$20.04, the locked NBBO price), for purposes of        illustration, in this example, a locked NBBO is not allowed to        price the unpriced order auction. Therefore, the process        continues instead to step 226, where it waits for the next        published NBBO quote.

Example 10: Unpriced Order Auction is Priced at the Midpoint of the NBBO

In this example, the following NBBO quote is published next:

-   -   →Market Center A: Bid 300 @ 20.04 Market Center B: Offer 700 @        20.05        The process returns to step 224, where it checks if the NBBO is        crossed. As the NBBO is not crossed, the process continues to        step 228, where it checks if the NBBO is locked. As the NBBO is        not locked, the process continues to step 232, where it        calculates the midpoint of the NBBO. The midpoint of the NBB        ($20.04) and the NBO ($20.05) is computed as $20.045. As        previously explained, although this issue does not trade in        subpennies, and limit orders to buy or sell at $20.045 would        therefore be rejected as invalid by the order matching engine        21, this subpenny price is valid in this implementation of the        invention because it represents the true computed midpoint        price. In step 236, the process sets the AuctionPrice=20.045,        and in step 238, it returns to where it was invoked, in step 206        (FIG. 9).

The process continues to step 208, where it assigns the computedAuctionPrice as the trade price for the paired orders on theMatchedOrders data structure 29 d:

Order B: Execute 600 shares @ 20.045 with Order D

Order D: Execute 600 shares @ 20.045 with Order B

Order C: Execute 300 shares @ 20.045 with Order D

Order D: Execute 300 shares @20.045 with Order C

In step 210, the process executes the trades and reports them to theTape. As this example is an opening auction, the execution reportsinclude the relevant identifier for opening trades.

600 @ 20.045, opening trade

300 @ 20.045, opening trade

The process also publishes the auction price and volume to themarketplace:

Auction Matched Match Symbol Imbalance Volume Price XYZZ 900 20.045

Example 11: Unexecuted Market Orders are Released for Trading in theMarketplace

Continuing to step 212, the process checks whether there are anyunmatched market orders in the UnmatchedOrders data structure 29 c,which presently looks like this:

Bids Offers Order C: Buy  100 @ Market Order E: Buy 2000 @ MarketAs unmatched market orders are remaining after the completion of theunpriced order auction, the process releases the orders to thecontinuous matching engine 52 for further execution opportunities instep 214:

-   -   →Order C: Buy 100 @ Market    -   →Order E: Buy 2000 @ Market        Having released the orders, the process stops as shown in step        216. The unpriced order auction process has concluded.

Example 12: Unexecuted Market Orders Trade in the Marketplace

Throughout the entire Pre-Auction period, the continuous matching engine52 has maintained a separate order book 29 a. In this example, forpurposes of illustration, an internal book is shown with limit ordersresident on the posting market center 20, as well as the Best Bid andOffer from each market center on data structure 25, Market Center A(“Away Market A”) 24 a and Market Center B (“Away Market B”) 24 b.

-   -   →The NBBO is 20.04 to 20.05 (300×900).

The internal book looks like this:

Bids Offers Away Market A: Buy 300 @ 20.04 Order 456: Sell 200 @ 20.05Order 123: Buy 200 @ 20.02 Away Market B: Offer 700 @ 20.05 Away MarketB: Buy 600 @ 20.01 Order 789: Sell 1400 @ 20.07 Away Market A: Offer2200 @ 20.08

The continuous matching engine 52 processes the released market ordersas if they were newly received on the posting market center 20. Themarket buy orders are no longer eligible to match at the midpoint of theNBBO, they must now execute at the NBO price instead. The continuousmatching engine 52 matches 100 shares of Market Buy Order C with 100shares of posted Sell Order 456 at the Sell Order's price of $20.05,completely depleting Market Buy Order C.

The internal Book now looks like this:

Bids Offers Away Market A: Buy 300 @ 20.04 Order 456: Sell 100 @ 20.05 ←Order 123: Buy 200 @ 20.02 Away Market B: Offer 700 @ 20.05 Away MarketB: Buy 600 @ 20.01 Order 789: Sell 1400 @ 20.07 Away Market A: Offer2200 @ 20.08

The process then matches 100 shares of Market Buy Order E with theremaining 100 shares of Sell Order 456 at the Sell Order's price of$20.05, completely depleting Sell Order 456 and removing it from theinternal book. Market Buy Order E still has 1900 shares remaining. Thecontinuous matching engine 52 then routes 700 shares of Market Buy OrderE to Away Market B at its Offer price of $20.05.

The NBBO is now 20.04 to 20.05 (300×700), as Away Market B has not movedits offer yet. The internal book looks like this:

Bids Offers Away Market A: Buy 300 @ 20.04 Away Market B: Offer 700 @20.05 Order 123: Buy 200 @ 20.02 Order 789: Sell 1400 @ 20.07 AwayMarket B: Buy 600 @ 20.01 Away Market A: Offer 2200 @ 20.08

Market Buy Order E still has 1200 shares available to trade. As marketbuy orders can only execute at the NBO and Sell Order 789 ($20.07) isinferior to the NBO ($20.05), the remaining shares of Market Buy Order Eare momentarily queued until the NBO changes. This momentary queuing isillustrated below by displaying Order E in reverse text. Order E isshown included in the internal book because if an incoming marketablesell order (i.e., priced at $20.05 or lower) were to be received whileMarket Buy Order E is queued, the orders would match.

The internal book momentarily looks like this:

Bids Offers Order E: Buy 1200 @ Market ← Away Market B: Offer 700 @20.05 Away Market A: Buy 300 @ 20.04 Order 789: Sell 1400 @ 20.07 Order123: Buy 200 @ 20.02 Away Market A: Offer 2200 @ 20.08 Away Market B:Buy 600 @ 20.01

Away Market B fills the 700 shares routed to it and moves its Offer to$20.07. The NBO is now 2100 @ 20.07. The internal book momentarily lookslike this:

Bids Offers Order E: Buy 1200 @ Market Order 789: Sell 1400 @ 20.07 AwayMarket A: Buy 300 @ Away Market B: Offer 700 @ 20.07 ← 20.04 Order 123:Buy 200 @ 20.02 Away Market A: Offer 2200 @ 20.08 Away Market B: Buy 600@ 20.01

The continuous matching engine 52 matches the remaining shares of MarketBuy Order E with 1200 shares of Sell Order 789 at the Sell Order's priceof $20.07. Market Buy Order E is completely depleted. Sell Order 789still has 200 shares remaining.

The NBBO is now 20.04 to 20.07 (300×900). The internal book looks likethis:

Bids Offers Away Market A: Buy 300 @ 20.04 Order 789: Sell  200 @ 20.07←Order 123: Buy 200 @ 20.02 Away Market B: Offer  700 @ 20.07 Away MarketB: Buy 600 @ 20.01 Away Market A: Offer 2200 @ 20.08

Example 13: Market Orders Await a Scheduled Unpriced Order Auction on anEquity Options Marketplace

In this embodiment of the invention, market orders received for equityoption issues on the posting market center 20 during a designatedPre-Auction period are processed in the same manner as for equitysecurity issues. As described in the preceding examples, market orderseligible to participate in the upcoming unpriced order auction arequeued in the auction order book 29 b, and the Auction Imbalance Volumeand Indicative Match Volume are advertised to the marketplace.Meanwhile, limit orders are processed separately but concurrently in thecontinuous matching engine 52, which has its own separate book 29 a. Asthe processing is the same for equity securities and equity optionsthroughout the Pre-Auction period, this example illustrating theunpriced order auction process 50 for an equity option issue starts withan auction order book 29 b that already includes four market orders.

The auction order book presently looks like this:

Bids Offers Order F: Buy 60 @ Market Order H: Sell 90 @ Market Order G:Buy 40 @ Market Order I: Buy 200 @ Market

In this example, the UnpricedBuyVolume=300 contracts (60+40+200). TheUnpricedSellVolume=90 contracts. The ImbalanceVolume=210 contracts (300Buy contracts less 90 Sell contracts) and reflects a Buy Imbalance. TheMatchVolume=90 contracts. The advertised auction looks like this'

Auction Indicative Symbol Imbalance Match Volume Match Price XYZUH +210Buy 90

Example 14: Market Orders Match in the Unpriced Order Auction

At the scheduled auction time, the unpriced order auction process pairsthe queued market orders as follows:

-   -   60 contracts of Buy Order F match 60 contracts of Sell Order H,        completely depleting Buy Order F.    -   30 contracts of Buy Order G match 30 contracts of Sell Order H,        completely depleting Sell Order H.        Partially-matched Order G still has 10 contracts remaining.        Order I is unmatched. The auction order book now looks like        this:

Bids Offers Order G: Buy 10 @ Market Order I: Buy 200 @ MarketThe process adds the unmatched orders to the UnmatchedOrders datastructure 29 c.

In step 204, the process adds the paired orders to the MatchedOrdersdata structure 29 d:

Order F: 60 contracts pending match with Order H

Order H: 60 contracts pending match with Order F

Order G: 30 contracts pending match with Order H

Order H: 30 contracts pending match with Order G

In step 206, the process continues to the NBBO Midpoint Pricing Process,as indicated.

Example 15: Unpriced Order Auction is Priced at the Midpoint of the NBBO

Referring to FIG. 10, in step 222, the process retrieves the firstpublished NBBO quote after the scheduled auction time, e.g., after 09:30am ET. In this example, the underlying stock is listed on a marketcenter that is already open for trading. The following NBBO quote isretrieved:

-   -   →Market Center A: Bid 30 @ 2.00 Market Center B: Offer 70 @ 2.05

The process continues to step 224, where it checks if the NBBO iscrossed. As the NBBO is not crossed, the process continues to step 228,where it checks if the NBBO is locked. As the NBBO is not locked, theprocess continues to step 232, where it calculates the midpoint of theNBBO. The midpoint of the NBB ($2.00) and the NBO ($2.05) is computed as$2.025. Although this issue currently trades in increments of $0.05, andlimit buy orders or sell orders priced at $2.025 would be rejected asinvalid by the order matching engine 21, this computed price is valid inthis implementation of the invention because it represents the truecomputed midpoint price. In step 236, the process sets theAuctionPrice=$2.025, and in step 238, it returns to where it wasinvoked, in step 206 (FIG. 9).

The process continues to step 208, where it assigns the computedAuctionPrice as the trade price for the paired orders on theMatchedOrders data structure 29 d:

Order F: Execute 60 contracts @ 2.025 with Order H

Order H: Execute 60 contracts @ 2.025 with Order F

Order G: Execute 30 contracts @ 2.025 with Order H

Order H: Execute 30 contracts @ 2.025 with Order G

In step 210, the process executes the trades and reports them to theTape. As this example is an opening auction, the execution reportsinclude the relevant identifier for opening trades:

60 @ 2.025, opening trade

30 @ 2.025, opening trade

The process also publishes the auction price and volume to themarketplace:

Auction Matched Symbol Imbalance Volume Match Price XYZUH 90 2.025

Example 16: Unexecuted Market Orders are Released for Trading in theMarketplace

Continuing to step 212, the process checks whether there are anyunmatched market orders in the UnmatchedOrders data structure 29 c,which presently looks like this:

Bids Offers Order G: Buy 10 @ Market Order I: Buy 200 @ Market

As unmatched market orders remain after the completion of the unpricedorder auction, the process releases the orders to the continuousmatching engine 52 for further execution opportunities in step 214:

-   -   →Order G: Buy 10 @ Market    -   →Order I: Buy 200 @ Market        Having released the orders, the process stops as shown in step        216. The unpriced order auction process has terminated.

Example 17: Unexecuted Market Orders Trade in the Marketplace

Throughout the entire Pre-Auction period, the continuous matching engine52 has maintained a separate order book. In this example, for purposesof illustration, an internal order book 29 a is shown with limit ordersresident on the posting market center 20. Also for purposes ofillustration, a combined Quote Book is shown that includes Market MakerQuotes 33 published by Market Makers 31 assigned to make markets in thisissue on the posting market center 20, as well as the Best Bids andOffers on data structure 25 published by the away market centers 24. Inthis example, the issue has an assigned Lead Market Maker LMM. Accordingto the business rules of the posting market center 20, when the LMM isquoting at the NBBO, an incoming order may be eligible to be processedin the Lead Market Maker Guarantee Process, a set of procedures that arepart of the continuous matching engine 52 in this example.

The NBBO is 2.00 to 2.05 (30×170) when the unmatched market orders 29 care released to the continuous matching engine 52. The order book lookslike this:

Bids Offers Order 012: Buy 20 @ 1.95 Order 345: Sell 10 @ 2.05 Order678: Buy 10 @ 1.90 Order 910: Sell 20 @ 2.10

The combined Quote Book looks like this:

Bids Offers Away Market A: Bid 30 @ 2.00 LMM: Offer 70 @ 2.05 LMM: Bid40 @ 1.95 Away Market B: Offer 90 @ 2.05 Away Market B: Bid 10 @ 1.95Away Market A: Offer 50 @ 2.10

The continuous matching engine 52 processes the released market buyorders as if they were newly received on the posting market center 20.The market buy orders are no longer eligible to match at the midpoint ofthe NBBO, they must now execute at the NBO instead. The continuousmatching engine 52 must determine the best sell interest in themarketplace. In this example, Order 345 is a Customer Order that hastime priority over the LMM Offer at the same price, $2.05. Order 345 istherefore entitled to trade ahead of the LMM quote, as both are pricedat the NBO. The continuous matching engine 52 matches the 10 contractsof Market Buy Order G with Sell Order 345, completely depleting bothorders.

The order book now looks like this with Order 345 removed:

Bids Offers Order 012: Buy 20 @ 1.95 Order 910: Se1120 @ 2.10← Order678: Buy 10 @ 1.90

The combined Quote Book remains unchanged.

The continuous matching engine 52 executes Market Buy Order I next. Itdetermines that the LMM quote is at the NBO, and that no other Bookorders have price/time priority. It automatically generates an order toSell 70 at $2.05 on behalf of the LMM quote and matches 70 contracts ofMarket Buy Order I against the generated Sell Order. As Market Buy OrderI still has 130 contracts available after the match and Away Market B isalso quoting at the NBO, the process routes 90 contracts to Away MarketB at the price of $2.05.

LMM moves its Offer to $2.10. The combined Quote Book now looks likethis (Away Market B has not moved its quote yet):

Bids Offers Away Market A: Bid 30 @ 2.00 Away Market B: Offer 90 @ 2.05LMM: Bid 40 @ 1.95 LMM: Offer 70 @ 2.10← Away Market B: Bid 10 @ 1.95Away Market A: Offer 50 @ 2.10

-   -   →The NBBO is now 2.00 to 2.05 (30×90).

Market Buy Order I still has 40 contracts available to trade. As marketbuy orders can only execute at the NBO and Sell Order 910 ($2.10) andthe LMM Offer ($2.10) are inferior to the NBO ($2.05), the remainingcontracts of Market Buy Order I are momentarily queued until the NBOchanges. This momentary queuing is illustrated below by displaying OrderI in reverse text. Order I is shown included in the order book becauseif an incoming marketable Sell Order (i.e., priced at $2.05 or lower)were to be received while Order I is queued, the orders would match.

The order book momentarily looks like this:

Bids Offers Order 1: Buy 40 @ Market← Order 910: Sell 20 @ 2.10 Order012: Buy 20 @ 1.95 Order 678: Buy 10 @ 1.90

Away Market B fills the 90 contracts routed to it, and moves its Offerto $2.10. The NBBO is now 2.00 to 2.10 (30×230).

The combined Quote Book looks like this:

Bids Offers Away Market A: Bid 30 @ 2.00 LMM: Offer 70 @ 2.10 LMM: Bid40 @ 1.95 Away Market A: Offer 50 @ 2.10 Away Market B: Bid 10 @ 1.95Away Market B: Offer 90 @ 2.10←

As Order 910 is at the NBO and has time priority over the LMM quote, thecontinuous matching engine 52 matches 20 contracts of Market Buy Order Iwith Sell Order 910, completely depleting Sell Order 910 and removing itfrom the order book.

The order book momentarily looks like this:

Bids Offers Order 1: Buy 20 @ Market← Order 012: Buy 20 @ 1.95 Order678: Buy 10 @ 1.90

As Market Buy Order I still has 20 contracts available to trade and theLMM Offer is at the NBO, the continuous matching engine 52 automaticallygenerates an order to Sell 20 at $2.10 on behalf of the LMM quote, andmatches Market Buy Order I with the generated Sell Order. Market BuyOrder I is completely matched. The LMM Offer still has 50 contractsavailable.

The order book looks like this:

Bids Offers Order 012: Buy 20 @ 1.95 Order 678: Buy 10 @ 1.90

The combined Quote Book looks like this:

Bids Offers Away Market A: Bid 30 @ 2.00 LMM: Offer 50 @ 2.10← LMM: Bid40 @ 1.95 Away Market A: Offer 50 @ 2.10 Away Market B: Bid 10 @ 1.95Away Market B: Offer 90 @ 2.10

While the invention has been discussed in terms of certain embodiments,it should be appreciated that the invention is not so limited. Theembodiments are explained herein by way of example, and there arenumerous modifications, variations and other embodiments that may beemployed that would still be within the scope of the present invention.

1. A method comprising: receiving, by an order and execution interfaceof a computer system, a plurality of electronic orders comprising one ormore priced orders that include a specified price and one or moreunpriced orders that do not included a specified price, said computersystem comprising non-transitory memory storing executable program codeand at least one processor executing the program code stored in thememory; automatically directing, by the order and execution interface,the one or more unpriced orders to an unpriced order auction engine ofthe system; continuously updating and disseminating in real-time, by theunpriced order auction engine, an auction order imbalance parameterassociated with the one or more unpriced orders until initiation of asingle-price auction; responsive to disseminating the auction orderimbalance parameter, receiving, by the order and execution interface,one or more of the following responses until the initiation of thesingle-price auction: one or more new unpriced orders, one or morecancellations of previously received unpriced orders, and one or moreinstructions requesting modifications to previously received unpricedorders; updating, by the unpriced order auction engine, the auctionorder imbalance parameter based on the received one or more responses;initiating, by the unpriced order auction engine, the single-priceauction; determining, by the unpriced order auction engine, a singleauction price; and executing, by the unpriced order auction engineduring the single-price auction, one or more trades involving a firstportion of the one or more unpriced orders at the determined singleauction price.
 2. The method of claim 1, wherein the auction orderimbalance parameter comprises a difference between an aggregate volumeof the one or more unpriced orders to buy shares and an aggregate volumeof the one or more unpriced orders to sell shares at the initiation ofthe single-price auction.
 3. The method of claim 1, further comprising:automatically directing, by the order and execution interface, the oneor more priced orders to a continuous matching engine of a postingmarket center for potential immediate execution at the specified price.4. The method of claim 3, wherein the continuous matching engine isconfigured to execute a continuous matching process for the one or morepriced orders that are marketable against a public order book.
 5. Themethod of claim 4, further comprising: storing, by the order andexecution interface, the one or more unpriced orders in an unpricedauction order book that is separate from the public order book.
 6. Themethod of claim 4, wherein the continuous matching process executesconcurrently with and separately from the single-price auction.
 7. Themethod of claim 6, further comprising: automatically routing, by theunpriced order auction engine, a second portion of the one or moreunpriced orders, consisting of unpriced orders other those in the firstportion of the one or more unpriced orders, to the continuous matchingengine.
 8. The method of claim 7, further comprising: executing, by thecontinuous matching engine, the continuous matching process on thesecond portion of the one or more unpriced orders.
 9. The method ofclaim 7, further comprising: determining, by the unpriced order auctionengine, a maximum matchable quantity comprising a lesser of an aggregatebuy volume and an aggregate sell volume; determining, by the unpricedorder auction engine, an auction imbalance quantity comprising adifference between the maximum matchable quantity and a greater of theaggregate buy volume and the aggregate sell volume; matching, by theunpriced order auction engine, the first portion of the one or moreunpriced orders up to the maximum matchable quantity; retrieving, by theunpriced order auction engine, a national best bid and offer quote,external to the posting market center, to establish best prices;determining, by the unpriced order auction engine, the single auctionprice by computing a midpoint of the retrieved national best bid andoffer quote; and executing, by the unpriced order auction engine, tradesbetween the matched first portion of the one or more unpriced marketorders to buy and sell shares at the determined single auction price.10. The method of claim 9, further comprising: determining, by theunpriced order auction engine, whether the national best bid and offerquote is crossed; and responsive to the determining that the nationalbest bid and offer quote is crossed, discarding, by the unpriced orderauction engine, the crossed national best bid and offer quote andevaluating a next national best bid and offer quote.
 11. The method ofclaim 9, further comprising: determining, by the unpriced order auctionengine, whether the national best bid and offer quote is locked; andresponsive to the determining that the national best bid and offer quoteis locked, setting, by the unpriced order auction engine, the singleauction price as the lock price of the national best bid and offerquote.
 12. The method of claim 9, further comprising: determining, bythe unpriced order auction engine, whether the national best bid andoffer quote is locked; and responsive to the determining that thenational best bid and offer quote is locked, discarding, by the unpricedorder auction engine, the locked national best bid and offer quote andevaluating a next national best bid and offer quote.
 13. The method ofclaim 1, wherein the plurality of electronic orders specify shares of anissue to be traded.
 14. The method of claim 13, further comprising:determining, by the unpriced order auction engine, whether a postingmarket center has market makers assigned to the issue in thesingle-price auction and whether the market makers publish quotes in theissue; and responsive to the determining that the posting market centerhas market makers assigned to the issue in the single-price auction andthat the market makers publish quotes in the issue, excluding, by theunpriced order auction engine, the quotes published by the market makersfrom the single-price auction.
 15. The method of claim 13, furthercomprising: determining, by the unpriced order auction engine, whether aposting market center has market makers assigned to the issue in thesingle-price auction and whether the market makers publish quotes in theissue; and responsive to the determining that the posting market centerhas market makers assigned to the issue in the single-price auction andthat the market makers publish quotes in the issue, making, by theunpriced order auction engine, unpriced orders that do not execute inthe single-price auction eligible for execution against contrasidemarket maker quotes.
 16. The method of claim 13, wherein the initiatingthe single-price auction occurs at a scheduled auction time.
 17. Themethod of claim 16, wherein the scheduled auction time occurs after anopening of trading on a primary listing market center of the issue andbefore a close of trading on the primary listing market center of theissue.